Short answer: it's probably not worth the effort.
Longer answer: the CFD interfaces don't extend IDispatch, which makes them impossible to call via late binding from VBA. That doesn't mean they can't be called from VBA, but it means they require a typelib to describe the "shape" of the IUnknown-based CFD interfaces. Unfortunately, Microsoft doesn't provide the CFD interface definitions in a typelib. You can roll your own typelib by reverse-engineering the header files (or try to find the original IDL in the SDK), but you'd then have to register that typelib on every machine you want to use it on (the tools for which are not shipped on the machine, unlike regsvr32 for COM stuff). Assuming you did all that, you could then reference the typelib from VBA, and conditionally call it on Vista or higher OSes. You could also shim through to a small .NET assembly that would create a System.Windows.Forms.FileDialog-derived type and marshal the results back to VBA- that would be much easier, but still more-or-less require that you register the assembly on every machine (or use C++/CLI or other hacks to export a managed DLL function), and it requires you to take a .NET dependency.
They sure didn't make it easy... :) Good luck!